I hope this finds you well,
I would like to ask you about the test of multiple changes in linear regression model with lagged dependant variable.
when I apply the test of Bai& Perron, I find extreme different results for the number of structural breaks; BIC = 6 and LWZ = 0. what should I do in this case?
I don't understand the rest of the results with the regression on DZ(1,1)?
and to which critical values should I compare the results of the Shifting Regressors?
Thank you in advance,